Liquidity-adjusted value-at-risk: a comprehensive extension with microstructural liquidity components
Author:
Affiliation:
1. College of Economics, Sungkyunkwan University, Seoul, Republic of Korea
2. McIntire School of Commerce, University of Virginia, Virginia, USA
Funder
Ministry of Education of the Republic of Korea and the National Research Foundation of Korea
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2021.1946414
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5. Illiquidity and stock returns: cross-section and time-series effects
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